Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0057
Annualized Std Dev 0.1324
Annualized Sharpe (Rf=0%) -0.0431

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.0844
Quartile 1 -0.0041
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.1261
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0083
Skewness 0.2571
Kurtosis 15.7185

Downside Risk

Close
Semi Deviation 0.0059
Gain Deviation 0.0060
Loss Deviation 0.0061
Downside Deviation (MAR=210%) 0.0114
Downside Deviation (Rf=0%) 0.0059
Downside Deviation (0%) 0.0059
Maximum Drawdown 0.2896
Historical VaR (95%) -0.0127
Historical ES (95%) -0.0193
Modified VaR (95%) -0.0104
Modified ES (95%) -0.0104
From Trough To Depth Length To Trough Recovery
1999-05-10 2008-10-10 NA -0.2896 5502 2371 NA
1999-01-05 1999-01-26 1999-05-07 -0.0526 86 15 71

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.5 -1.1 -0.5 0 0 -0.5 0.6 0 1.2 0.6 -1.3 -2.6 -3
2000 -1.8 1.2 1.2 0.6 2.5 2.4 -0.6 1.2 0 0.6 -0.6 -2.3 4.3
2001 -2 0.7 1.1 1.2 0.3 0.4 -0.4 -0.4 -0.7 0 0.3 -1.8 -1.4
2002 -0.3 -0.7 0 0 0.8 0.5 0.8 0.8 0.5 1.3 0.5 1 5.3
2003 1 0 -0.5 0.2 1.4 1.1 0.9 0.5 -0.1 -0.3 0.8 0.3 5.5
2004 0.1 -0.4 0.5 0.3 -0.4 -0.1 0.2 -0.2 -0.4 0.6 0.3 0.1 0.6
2005 0.1 -0.1 0 -0.7 -0.1 0.1 0 1.9 0.3 0.2 1.4 -0.6 2.4
2006 -0.1 0.2 1.1 1.3 1.5 0 0.8 -0.2 0.1 -0.5 -0.4 1.4 5.4
2007 0.1 -0.4 0.4 0.1 0 0.7 0.3 0.5 0.5 0.2 0.3 0.1 3
2008 0.4 -0.1 -0.3 1.7 0.7 -1 0 0.2 4.5 1.6 -1.7 2.1 8.2
2009 2.5 0.1 -0.2 0.1 -3.3 -1.3 0.5 0.1 -1.6 0.4 -1.3 0 -3.8
2010 -0.1 0.1 0.4 -0.2 -0.7 -0.3 1 0.4 0 0.5 -0.3 0.9 1.9
2011 1.1 0.3 0 0.2 -0.1 -0.2 0.8 -0.3 0.2 -0.1 1.1 -1.6 1.5
2012 0.4 0.3 -0.7 0.5 -0.7 1 0.1 0.4 -0.3 0 0.3 0.1 1.3
2013 1.1 0.2 0.4 -0.3 0.3 1.3 -0.5 0.4 0.3 -0.8 0.6 -0.3 2.7
2014 -0.4 0.5 1.8 0.1 -0.2 -0.2 0 -0.8 -0.2 -0.2 1 -0.8 0.6
2015 0 -2.2 0.4 -0.5 -0.3 0.4 0.3 0.4 0 0.5 0.3 0.4 -0.3
2016 0.8 0.4 0.3 0.2 0.6 0.2 0.3 -0.2 -0.1 -0.4 -0.8 -0.8 0.3
2017 -0.4 -0.3 0.7 0.2 0.3 0.9 0 -0.7 -0.3 -0.1 0.3 -0.4 0.2
2018 0.3 -0.4 0.6 0.2 -1.1 0.3 0 0.1 0.5 0.5 0.3 -0.4 0.9
2019 0.5 0.1 0.2 0.5 -0.3 0.8 -0.1 -0.2 0.4 0.3 -0.2 -0.1 1.9
2020 0.5 -2.1 -2.6 -0.7 0.1 0.6 1 -1.5 0.5 0.5 -0.3 -0.3 -4.4
2021 0.2 0.6 0.1 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart